Edgware Road station was opened on 15 June 1907 by the Baker Street and Waterloo Railway (BS&WR, now the Bakerloo line) when it extended its line from the temporary northern terminus at Marylebone.includeonly> In common with other early stations of the lines owned by the Underground Electric Railways Company of London, the station was designed by architectLeslie Green with an ox-blood red glazed terracotta façade. The B&SWR had parliamentary approval to continue the line to Paddington station, but the approved route, which curved under the mainline station and ended under the junction of Sussex Gardens and Sussex Place on a south-easterly heading, was not suitable for the company's plan to extend west or north-west from Paddington. The B&SWR chose not to construct the tunnels west of Edgware Road whilst it considered alternatives.includeonly>
In 1908, the BS&WR, considered a joint scheme with the North West London Railway (NWLR) to build a tube line from Edgware Road station to Cricklewood via Kilburn.includeonly> The NWLR had obtained permission to build a line along Edgware Road from Cricklewood to Marble Arch in 1899,includeonly> and had received approval for an additional section from Marble Arch to Victoria in 1906, but it had been unable to raise the money to build the line. The permitted NWLR route passed Edgware Road station and the companies sort permission in November 1908 for a section of tunnel Template:Convert/m long linking the B&SWR and the NWLR tunnels. To make use of the BS&WR's existing permission for the line to Paddington, Edgware Road station was to be provided with a second pair of platforms to enable the operation of a shuttle service between Paddington and Edgware Road. The scheme was rejected and the line was not built.includeonly>
In 1911, permission was received to construct a tightly-curved Template:Convert/m long extension to Paddington which ended heading north-west under the mainline station. Work stated in August 1911 and the extension opened in 1 December 1913.includeonly>
When the station opened, its narrow frontage was in a row of shops, but the buildings to the south of the station were demolished in the 1960s to enable the flyover to be built, leaving the station as one of two isolated buildings. Originally, an exit from the station was provided in the adjacent Bell Street. Although this is no longer used the building provides office accommodation for the station managers.
In September 2007, there was a proposal by London Assembly member Murad Qureshi to rename this station Church Street Market, as this would end the confusion between this station and its namesake on the Circle, District and Hammersmith & City lines.